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Search: subject:"multilevel Monte Carlo"
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Monte Carlo simulation
14
Monte-Carlo-Simulation
13
Multilevel Monte Carlo
7
Option pricing theory
7
Optionspreistheorie
7
Simulation
7
multilevel Monte Carlo
7
Stochastic process
5
Stochastischer Prozess
5
Option trading
4
Optionsgeschäft
4
Theorie
4
Theory
4
Barrier options
3
Derivat
3
Derivative
3
Discrete event simulation
2
Estimation theory
2
L-leap
2
Markov chain
2
Markov-Kette
2
Schätztheorie
2
Supply chain
2
Uncertainty modeling
2
Variance reduction
2
Algorithm
1
Algorithmus
1
American options
1
Asian option
1
Asian options
1
Asset liabilities management
1
Chicago Board Options Exchange Volatility Index (VIX) options
1
Drawdown
1
Dual approach
1
Duration of drawdown
1
Economic convergence
1
Effective dimension
1
Exponential Lévy models
1
Finance
1
Gaussian approximation
1
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16
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13
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13
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1
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English
14
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3
Author
All
Dickmann, Fabian
3
Kahalé, Nabil
3
Belomestny, Denis
2
Chiang, Nai-Yuan
2
Lin, Yiqing
2
Long, Quan
2
Mijatović, Aleksandar
2
Schoenmakers, John
2
Alfonsi, Aurélien
1
Bourgey, Florian
1
Cherchali, Adel
1
De Marco, Stefano
1
Egéa, Maxime
1
Ferreiro-Castilla, A.
1
Giles, Michael B.
1
González Cázares, Jorge
1
González Cázares, Jorge Ignacio
1
Infante, Arturo
1
Jourdain, Benjamin
1
Kyprianou, A.E.
1
Panloup, Fabien
1
Sbai, Mohamed
1
Scheichl, R.
1
Schweizer, Nikolaus
1
Suryanarayana, G.
1
Uribe Bravo, Gerónimo
1
Vihola, Matti
1
Xia, Yuan
1
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Finance and stochastics
3
Mathematics of operations research
3
The journal of computational finance
2
European journal of operational research : EJOR
1
Finance and Stochastics
1
Insurance / Mathematics & economics
1
Operations Research Perspectives
1
Operations research
1
Operations research letters
1
Operations research perspectives
1
Post-Print / HAL
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Stochastic Processes and their Applications
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ECONIS (ZBW)
13
RePEc
3
EconStor
1
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1
Multilevel Langevin pathwise average for Gibbs approximation
Egéa, Maxime
;
Panloup, Fabien
- In:
Mathematics of operations research
50
(
2025
)
1
,
pp. 573-605
Persistent link: https://www.econbiz.de/10015211752
Saved in:
2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatović, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
3
Unbiased time-average estimators for markov chains
Kahalé, Nabil
- In:
Mathematics of operations research
49
(
2024
)
4
,
pp. 2136-2165
Persistent link: https://www.econbiz.de/10015197819
Saved in:
4
Efficient propagation of uncertainties in manufacturing supply chains: Time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations Research Perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012662806
Saved in:
5
Efficient propagation of uncertainties in manufacturing supply chains: time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations research perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012198079
Saved in:
6
Multilevel
Monte
Carlo
simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
7
On the effective dimension and
multilevel
Monte
Carlo
Kahalé, Nabil
- In:
Operations research letters
50
(
2022
)
4
,
pp. 415-421
Persistent link: https://www.econbiz.de/10013364126
Saved in:
8
Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio
;
Mijatović, Aleksandar
; …
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
Saved in:
9
Multilevel
Monte-Carlo
for computing the SCR with the standard formula and other stress tests
Alfonsi, Aurélien
;
Cherchali, Adel
;
Infante, Arturo
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 234-260
Persistent link: https://www.econbiz.de/10012622391
Saved in:
10
General
multilevel
Monte
Carlo
methods for pricing discretely monitored Asian options
Kahalé, Nabil
- In:
European journal of operational research : EJOR
287
(
2020
)
2
,
pp. 739-748
Persistent link: https://www.econbiz.de/10012293946
Saved in:
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